Related papers: Numerical Solution of a parabolic problem arising …
This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We consider the optimal allocation of wealth among multiple…
We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why these growth-optimal strategies should be particularly relevant…
In a Markovian model for a financial market, we characterize the best arbitrage with respect to the market portfolio that can be achieved using nonanticipative investment strategies, in terms of the smallest positive solution to a parabolic…
This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the…
Solving parabolic optimal control problems can be inherently challenging in the field of science and engineering, especially with constraints on the nonsmooth distributed control. Motivated by the extensive applicability of the alternating…
By the classical Martingale Representation Theorem, replication of random vectors can be achieved via stochastic integrals or solutions of stochastic differential equations. We introduce a new approach to replication of random vectors via…
Parabolic partial differential equations (PDEs) appear in many disciplines to model the evolution of various mathematical objects, such as probability flows, value functions in control theory, and derivative prices in finance. It is often…
Two main aims of this paper are to develop a numerical method to solve an inverse source problem for parabolic equations and apply it to solve a nonlinear coefficient inverse problem. The inverse source problem in this paper is the problem…
This paper investigates solution strategies for nonlinear problems in Hilbert spaces, such as nonlinear partial differential equations (PDEs) in Sobolev spaces, when only finite measurements are available. We formulate this as a nonlinear…
This paper sets up a methodology for approximately solving optimal investment problems using duality methods combined with Monte Carlo simulations. In particular, we show how to tackle high dimensional problems in incomplete markets, where…
Numerical methods for the optimal transport problem is an active area of research. Recent work of Kitagawa and Abedin shows that the solution of a time-dependent equation converges exponentially fast as time goes to infinity to the solution…
This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function are introduced, where the surplus is modeled by a…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
We consider a space-time finite element method for the numerical solution of a distributed tracking-type optimal control problem subject to the heat equation with state constraints. The cost or regularization term is formulated in an…
We consider a specific type of nonlinear partial differential equations (PDE) that appear in mathematical finance as the result of solving some optimization problems. We review some existing in the literature examples of such problems, and…
We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value function of the quadratic hedging problem…
In this paper we continue to study a non-local free boundary problem arising in financial bubbles. We focus on the parabolic counterpart of the bubble problem and suggest an iterative algorithm which consists of a sequence of parabolic…
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the…
In the theory and practice of inverse problems for partial differential equations (PDEs) much attention is paid to the problem of the identification of coefficients from some additional information. This work deals with the problem of…
We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for existence and uniqueness of the solution and give a characterization…